Dow Jones Dividend Indices - S&P Dow Jones Indices
Dow Jones Dividend Indices
Methodology
May 2021
S&P Dow Jones Indices: Index Methodology
Table of Contents
Introduction
3
Index Objective
3
Highlights and Index Family
3
Supporting Documents
4
Eligibility Criteria and Index Construction
5
Dow Jones Asia Select Dividend 30 Index
5
Dow Jones Asia/Pacific Select Dividend 50 Index
7
Dow Jones Asia Select Dividend 100 Index
9
Dow Jones Emerging Markets Select Dividend Index
11
Dow Jones EPAC Select Dividend Index
12
Dow Jones Eurozone Select Dividend 30 Index
14
Dow Jones Global Select Dividend Index
16
Dow Jones Global Select Dividend Composite Index
17
Dow Jones International Dividend 100 Index
18
Dow Jones Canada Select Dividend Index
20
Dow Jones U.S. Dividend 100 Index
21
Dow Jones U.S. Select Dividend Index
23
Dow Jones Taiwan High Quality Dividend 30 Index
25
Dow Jones Islamic Market Global Select Dividend Index
26
Index Calculations
28
Approaches
28
Dow Jones Select Dividend Hedged Indices
28
Earnings-per-share (EPS)
28
Liquidity
29
Multiple Classes of Stock and Dual Listed Shares
29
Dividend Payment Types
29
Dividend Coverage Ratio
29
S&P Dow Jones Indices: Dow Jones Dividend Indices Methodology
1
Index Maintenance
30
Rebalancing
30
Ongoing Maintenance
30
Monthly Dividend Review
30
Corporate Actions
31
Investable Weight Factor (IWF)
31
Other Adjustments
31
Currency of Calculation and Additional Index Return Series
31
Base Dates and History Availability
31
Index Data
32
Calculation Return Types
32
Index Governance
33
Index Committee
33
Index Policy
34
Announcements
34
Pro-forma Files
34
Holiday Schedule
34
Rebalancing
34
Unexpected Exchange Closures
34
Recalculation Policy
34
Real-Time Calculation
35
Contact Information
35
Index Dissemination
36
Tickers
36
Index Data
36
Web site
36
Appendix I ? Currency of Calculation
37
Index Currencies and Exchange Rates
37
Appendix II ? Base Dates and History Availability
38
Appendix III ? Tickers
39
Global/Regional Indices
39
Country Indices
39
Thematic Indices
40
Appendix IV ? Methodology Changes
41
Disclaimer
47
S&P Dow Jones Indices: Dow Jones Dividend Indices Methodology
2
Introduction
Index Objective
The Dow Jones Dividend Indices family measures the performance of dividend-paying companies in a suite of global, regional, country, and thematic indices. Indices contain stocks meeting specific criteria such as size, dividends, and liquidity. The indices are weighted by dividend yield, Indicated Annual Dividend ("IAD") yield, country yield, or float-adjusted market capitalization ("FMC"), subject to indexspecific caps applied to individual constituents, country of domicile, and/or Global Industry Classification Standard ("GICS") sector as further detailed under Eligibility Criteria and Index Construction.
Highlights and Index Family
Global/Regional Indices
? Dow Jones Asia Select Dividend 30 Index. Measures the performance of 30 high dividendpaying stocks, it currently represents Hong Kong, Taiwan, Singapore, South Korea, and Hong Kong-listed Chinese companies.
? Dow Jones Asia/Pacific Select Dividend 50 Index. Measures the performance of 50 high dividend-paying stocks, it currently represents Australia, Hong Kong, Japan, New Zealand, and Singapore.
? Dow Jones Asia Select Dividend 100 Index. Measures the performance of 100 high dividendpaying stocks in the S&P Pan Asia BMI, excluding Real Estate Investment Trusts, and companies domiciled in Australia, India, Japan, Pakistan, New Zealand, and China A and B shares.
? Dow Jones Emerging Markets Select Dividend Index. Measures the performance of 100 high dividend-paying emerging-market companies.
? Dow Jones EPAC Select Dividend Index. Measures the performance of 100 high dividendpaying stocks in non-U.S. developed markets. (EPAC: Europe, Pacific, Asia, and Canada)
? Dow Jones Eurozone Select Dividend 30 Index. Measures the performance of 30 high dividend-paying stocks in Eurozone markets.
? Dow Jones Global Select Dividend Index. Measures the performance of 100 high dividendpaying stocks trading in developed market countries.
? Dow Jones Global Select Dividend Composite Index. Measures the performance of high dividend-paying companies worldwide through a 300-stock composite of U.S., developed-market ex-U.S., and emerging-market dividend indices.
? Dow Jones International Dividend 100 Index. Measures the performance of 100 high dividend-paying non-U.S. global companies, with a record of consistently paying dividends, selected for fundamental strength (based on financial ratios) and low volatility relative to their peers.
Country Indices
Each of the following indices in the Dow Jones Select Dividend Indices family represents the country's leading stocks by dividend yield.
S&P Dow Jones Indices: Dow Jones Dividend Indices Methodology
3
Americas
? Dow Jones Canada Select Dividend Index. Measures the stock performance of 30 high
dividend-paying companies listed on the Toronto stock exchange and constituents of the S&P Canada BMI, excluding income trusts.
? Dow Jones U.S. Select Dividend Index. Measures the performance of 100 high dividend-
paying companies, excluding REITs, meeting specific criteria for dividends, earnings, size and liquidity.
In addition, the Americas and Asia/Pacific regions also include the following country indices respectively:
? Dow Jones U.S. Dividend 100 Index. Measures the stock performance of 100 high dividendpaying U.S. companies with a record of consistently paying dividends, selected for fundamental strength relative to their peers, based on financial ratios.
? Dow Jones Taiwan High Quality Dividend 30 Index. Measures the stock performance of 30 high dividend-paying Taiwanese companies with a record of consistently paying dividends, selected for fundamental strength relative to their peers, based on financial ratios.
Thematic Indices
? Dow Jones Islamic Market Global Select Dividend Index. Covers high dividend-paying companies in developed countries worldwide that pass rules-based screens for Shariah compliance.
Supporting Documents
This methodology is meant to be read in conjunction with supporting documents providing greater detail with respect to the policies, procedures and calculations described herein. References throughout the methodology direct the reader to the relevant supporting document for further information on a specific topic. The list of the main supplemental documents for this methodology and the hyperlinks to those documents is as follows:
Supporting Document S&P Dow Jones Indices' Equity Indices Policies & Practices Methodology S&P Dow Jones Indices' Index Mathematics Methodology S&P Dow Jones Indices' Float Adjustment Methodology S&P Dow Jones Indices' Global Industry Classification Standard (GICS) Methodology
URL Equity Indices Policies & Practices Index Mathematics Methodology Float Adjustment Methodology GICS Methodology
This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective.
S&P Dow Jones Indices: Dow Jones Dividend Indices Methodology
4
Eligibility Criteria and Index Construction
Global/Regional Indices
Dow Jones Asia Select Dividend 30 Index
Index Universe. The index universe is defined as all companies in the S&P BMI country indices for Hong Kong, Hong Kong-listed Chinese companies, Taiwan, Singapore, and South Korea, excluding REITs.
Companies must pass the following screens: ? The company must have paid dividends in each of the previous three years. ? Dividend-per-share greater than or equal to the three-year average dividend-per-share:
(, -1, -2)
o DPSt = Dividend-per-share
where t is current year trailing twelve months
? A five-year average dividend coverage ratio greater than or equal to two-thirds of the five-year average dividend coverage ratio of the corresponding S&P BMI country index, or greater than 118%, whichever is greater. If a company does not have five years of listing history, only available dividend amounts are considered in the ratio calculation. If the company has been listed for at least five years but did not pay a dividend for one of the past five years, a dividend of zero (0) will be included in the ratio calculation.
=
(
,
-1 -1
,
-2 -2
,
-3 -3
,
--44)
o EPSt = Earnings-per-share o DPSt = Annual dividend-per-share
where t is current year trailing twelve months ? A non-negative trailing 12-month earnings-per-share (EPS). ? A float-adjusted market capitalization of at least US$ 600 million (US$ 400 million for current
constituents). ? An average daily traded value (ADVT) of at least US$ 3 million over the past three months.
Current index constituents are included in the index universe regardless of their dividend growth rate, coverage ratio, current year earnings-per-share, or ADVT. Except for float-adjusted market capitalization and ADVT, the reference date for the above data points is the last business day of December. The reference date for float-adjusted market capitalization and ADVT is the last business day of February.
Index Construction. The top 30 stocks by indicated dividend yield are selected for inclusion in the index, subject to buffers designed to limit turnover by favoring current index constituents:
1. Stocks in the index universe are ranked in descending order by IAD yield, defined as a stock's IAD (not including any special dividends) divided by its price.
2. All non-constituent stocks that are ranked among the top 15 are included in the index.
S&P Dow Jones Indices: Dow Jones Dividend Indices Methodology
5
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